[R] accumulative grouping of time series

[Ernest Adrogué]

HI there,

Consider a data set like this:

> x <- data.frame(a=1:10, b=11:20, t=c(1,1,1,2,2,2,3,3,3,3))
> x
    a  b t
1   1 11 1
2   2 12 1
3   3 13 1
4   4 14 2
5   5 15 2
6   6 16 2
7   7 17 3
8   8 18 3
9   9 19 3
10 10 20 3

Here x$t is a vector of integers that represent a moment
in time. I would like to calculate a function of a & b at
each moment (t0), but using the rows corresponding not only
to moment t0 but also all moments t < t0.

For example, if the function was f(a,b) = sum(a - b), the
result would be

t    f
1  -30           # (1-11) + (2-12) + (3-13)
2  -60
3 -100

As far as I know there is no built-in function in R to
group rows like this. The naive approach of using a loop is
doable but extremely slow even for small data sets.

result <- NULL
for (i in unique(x$t)) {
  part <- x[x$t <= i,]
  result <- rbind(result, sum(part$a + part$b))
}

So, any suggestions?

Note: in this example, it is possible to calculate f() for
each subset using by() and then accumulate the results, but
with other functions this won't work.

Cheers,
Ernest